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Henry Walford Davies was born in Oswestry on the England–Wales border, seventh of nine children of John Whitridge Davies and Susan, née Gregory, and the youngest of four surviving sons. His middle name Walford was his maternal grandmother's maiden name; he later dropped his first name Henry, becoming generally known as Walford Davies. John Whitridge Davies was a leading figure in the local musical scene, playing the flute and the cello, and leading the choir at the Congregational church, Christ Church, where his brother was organist. He brought up his children to make music together. Performances of oratorios by Handel and others by Henry Leslie's Oswestry Choral Society were reviewed warmly in The Musical Times.

Walford's brothers Charlie and Harold were, successively, organists at Christ Church succeeding their uncle, Charlie from the age of eleven. Charlie died young after emigrating to Australia. Harold also emigrated to Australia, where he took the first musical doctorate from an Australian university and ultimately achieved considerable fame as Professor of Music at Adelaide University and Principal of the Elder Conservatorium. Tom, the eldest, followed a family tradition by entering the ministry.

Walford Davies grew up, like his siblings, playing any instrument he could lay his hands on, often in an informal band with his brothers, cousins and friends, but it was as a singer that he was first noticed and entered, against misgivings from his Nonconformist family, for a choristership at St. George's Chapel, Windsor. In this he was successful, and from the age of twelve he was singing fourteen services a week as well as attending school. Here he came under the influence of Walter Parratt, a leader in the late Victorian organ renaissance, and Randall Davidson, as Dean of Windsor.

In 1919 Walford Davies was made Professor of Music at the Aberystwyth University. He subsequently did much to promote Welsh music, becoming chairman of the Welsh National Council of Music. From 1927 he was organist at St. George's Chapel, Windsor, where one of his assistant organists was Malcolm Boyle.

From the 1920s, he also made had recordings of a series of lectures, which led to his being employed by the BBC. He made radio broadcasts on classical music under the title Music and the Ordinary Listener. These lasted from 1926 until the outbreak of World War II in 1939, and Davies became a well-known and popular radio personality. His book The Pursuit of Music (1935) has a similar non-specialist tone.